Issues with intersecting faces and how to unwrap a maze created from svg file
The problem you are facing is, that the svg from maze generator is not well suited to be imported in blender. Here the problem is, that the maze is made out of lines and not of shapes. Basically you want to convert the outline of the lines into a shape. This means you have to "clean" it before you can use it.

I tried it with Inkscape (Download-page), which is free to use. But basically you can use any advanced vector-image-editor to do this, I guess.

Using Inkscape, these are the steps which lead me success:


go to Path>Object to Path (or press Shift+Ctrl+C). This will put every line into it's own object.
First select a line in the objects viewer and then press Ctrl+A to select everything else, since it does not seem to select all the lines if not one is selected in the first place. Then go to Path>Stroke to Path (or press Ctrl+Alt+C). This will convert the stroke, drawn by each line into a shape.





With everything selected go to Path>Union (or press Ctrl++). This will combine all created shapes into one. 
Now you can save the svg and import it into blender
In Blender you can set the thickness of the walls by changing the "offset"-value in the curve-properties





Then select the curve and press Alt+C to convert it into a mesh
Go into Edit-Mode, select all, press delete and select "Dissolve faces". This will delete all the unneeded triangle-shaped faces.





To delete all unused point keep selected all, press delete and select "Limited Dissolve"





If you have some ugly connections between points, just select all, press Delete and select "Only Faces", then select everything again and press F to fill the faces again.






Now you can extrude your mesh and have a clean maze




I hope I could help!